Hi Matthew - are you sure this is correct? When I apply "ewma" to "5#1 4", I get this: 3 ewma 5#1 4 1 1 1 1 3 3 3 3 3
I was under the impression that the terminal value should get closer to 4, not stick at 3. Regards, Devon On Fri, Sep 26, 2008 at 4:18 PM, Matthew Brand <[EMAIL PROTECTED]>wrote: > This is a definition of EWMA using the scan adverb: > > NB. Scan for a parameterless function. > scan =. 1 : '}.@(u~/\.&.|.)' > > NB. The EWMA weighting function must be defined as an adverb > NB. to input the parameter: > f =. 1 : '(([%m) + (1-%m)*])' > > ewma =. f scan > 10 ewma i.10 > > or, > 10 f scan i.10 > > > > > On Fri, Sep 26, 2008 at 8:31 PM, Matthew Brand <[EMAIL PROTECTED] > >wrote: > > > Thanks, I see what you mean!!! > > > > ts=: 6!:2, 7!:[EMAIL PROTECTED] > > > > ts '# - (1 : ''}.@(u~/\.&.|.)'') i.1000' > > 0.000193176 17664 > > > > ts '# - (1 : ''}.@(u~/\&.|.)'') i.1000' > > 0.130687 30208 > > > > Also, \ does not give the right answer but \. does... I might have done a > > typing error. > > > > > > On Fri, Sep 26, 2008 at 7:39 PM, Henry Rich <[EMAIL PROTECTED]> > wrote: > > > >> \. is faster than \ so use > >> > >> scan =. 1 : '}.@(u~/\.&.|.)' > >> > >> Henry Rich > >> > >> > -----Original Message----- > >> > From: [EMAIL PROTECTED] > >> > [mailto:[EMAIL PROTECTED] On Behalf Of Matthew Brand > >> > Sent: Friday, September 26, 2008 2:33 PM > >> > To: Programming forum > >> > Subject: Re: [Jprogramming] scan operator > >> > > >> > Thanks for the pointers, here it is: > >> > scan =. 1 : '}.@: (((u~/)&.|.)\)' > >> > - scan >: i.5 > >> > _1 _4 _8 _13 > >> > (1-2),((1-2)-3),(((1-2)-3)-4),((((1-2)-3)-4)-5) > >> > _1 _4 _8 _13 > >> > > >> > Does this seem like something there ought to be a primitive > >> > for, I think > >> > that q might have one? Anyway, it looks like it works so far. > >> > I want to use > >> > it to do exponentially weighted moving average EWMA, which > >> > was a topic on > >> > the forum earlier in the year. > >> > > >> > Cheers, > >> > Matthew. > >> > > >> > On Fri, Sep 26, 2008 at 5:07 PM, Devon McCormick > >> > <[EMAIL PROTECTED]> wrote: > >> > > >> > > Hi Matthew - maybe this is what you want: > >> > > > >> > > (1-2)-3 > >> > > _4 > >> > > -~/|.1 2 3 > >> > > _4 > >> > > ((1-2)-3)-4 > >> > > _8 > >> > > -~/|.1 2 3 4 > >> > > _8 > >> > > > >> > > so, you could do "f~/|." > >> > > > >> > > On Fri, Sep 26, 2008 at 11:44 AM, Matthew Brand > >> > <[EMAIL PROTECTED] > >> > > >wrote: > >> > > > >> > > > Hi All, > >> > > > > >> > > > If I have a dyadic function f, how can I do the following: > >> > > > > >> > > > (((y0 f y1) f y2) f y3... ) f yn > >> > > > > >> > > > I want to feed the result of x f y into the next > >> > evaluation as the left > >> > > > parameter. > >> > > > > >> > > > > >> > > > Thanks, > >> > > > Matthew. > >> > > > > >> > ---------------------------------------------------------------------- > >> > > > For information about J forums see > >> > http://www.jsoftware.com/forums.htm > >> > > > > >> > > > >> > > > >> > > > >> > > -- > >> > > Devon McCormick, CFA > >> > > ^me^ at acm. > >> > > org is my > >> > > preferred e-mail > >> > > > >> > ---------------------------------------------------------------------- > >> > > For information about J forums see > >> > http://www.jsoftware.com/forums.htm > >> > > > >> > ---------------------------------------------------------------------- > >> > For information about J forums see > >> > http://www.jsoftware.com/forums.htm > >> > >> ---------------------------------------------------------------------- > >> For information about J forums see http://www.jsoftware.com/forums.htm > >> > > > > > ---------------------------------------------------------------------- > For information about J forums see http://www.jsoftware.com/forums.htm > -- Devon McCormick, CFA ^me^ at acm. org is my preferred e-mail ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
